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Tail risk and return predictability for the Japanese equity market
16 references·4 citing·41 second hopsampled
Tail risk and return predictability for the Japanese equity market (2020)Tail risk and return predictability for t…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsA Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk (2021)Recalcitrant betas: Intraday …Prediction of consumer repurchase behavior based on LSTM neural network model (2021)Prediction of consumer repurc…PELVE: Probability Equivalent Level of VaR and ES (2019)PELVE: Probability Equivalent…Dissecting the Yield Curve: The International Evidence (2019)Dissecting the Yield Curve: T…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An Intertemporal Capital Asset Pricing Model (1973)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Efficient Market Hypothesis and Its Critics (2003)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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1,521 cited
  • 2008Variance Risk Premiums1,328 cited
  • Cited by

    • 2021Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk42 cited
    • 2019PELVE: Probability Equivalent Level of VaR and ES35 cited
    • 2019Dissecting the Yield Curve: The International Evidence18 cited
    • 2021Prediction of consumer repurchase behavior based on LSTM neural network model12 cited